Mean-variance portfolio optimization with state-dependent risk aversion
Tomas Björk; Agatha Murgoci; Xun Yu Zhou
| Year of publication: |
2014
|
|---|---|
| Authors: | Björk, Tomas ; Murgoci, Agatha ; Zhou, Xun Yu |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 1, p. 1-24
|
| Subject: | mean-variance | time inconsistency | time-inconsistent control | dynamic programming | stochastic control | Hamilton-Jacobi-Bellman equation | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Zeitkonsistenz | Time consistency | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Risikoaversion | Risk aversion |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010256230